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Information flows within and across sectors in Chinese stock markets |
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| Authors: | Zijun Wang Ali M. Kutan Jian Yang |
| Affiliation: | aPrivate Enterprise Research Center, Texas A&M University, Academic Building West, Room 3028, College Station, TX 77843-4231, USA;bDepartment of Economics and Finance, Southern Illinois University, Edwardsville, IL, USA;cThe Emerging Markets Group, Cass Business School, London, UK;dDepartment of Accounting, Finance & Information Systems, Prairie View A&M University, Prairie View, TX, USA |
| Abstract: | We examine the patterns of information flows within and across sectors of the two Chinese stock exchanges in Shanghai and Shenzhen during 1994–2001. Using the generalized forecast error variance decomposition, we find a high degree of interdependence, indicating that the sectors are highly integrated and sector prices reflect information from other sectors. Industry is the most influential sector in both exchanges, while Finance in Shenzhen is the least integrated with other sectors. Implications of the findings for investors and policymakers are also discussed. |
| Keywords: | Chinese stock markets Information flows Sector returns Generalized forecast error variance decomposition Granger causality |
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